Data
Description
In this course we will study the behavior of returns under a very general setting and apply the tools developed to compute prices of options, forecast volatility and estimate the Value at Risk.
The theory we will study requires the use of high-frequency data. Below you can download high-frequency data for various stocks and at different sampling frequencies. For the projects, each of you will be assigned 2 stocks to work with.
Stock Assignments
The projects will require you to work with data on 2 different stocks. For most of the assignments all you need is data at the 5-minute sampling frequency. However, some assignments may require extra data, and, when they do, refer back to this page to find out what you should download.
Use the table below to find out what stocks and extra data you should download. The table uses the last two digits of your unique Duke ID number (back of your Duke card) to assign your data. For example, if my Duke unique ID is XXXXX81, then I would download the data for IBM and WMT (5-Min and 1-Min frequency), and for BAC2008 (5-Sec data).
| Last Two Digits | 1st Stock | 2nd Stock | Ultra HF Data |
|---|---|---|---|
| 00 to 06 | SPY | JPM | GOOG-2016 |
| 07 to 13 | AAPL | KO | BAC-2010 |
| 14 to 20 | AXP | MCD | BAC-2011 |
| 21 to 26 | BA | MMM | IBM-2017 |
| 27 to 33 | BAC | MRK | TSLA-2014 |
| 34 to 40 | CAT | MSFT | BAC-2013 |
| 41 to 46 | CSCO | NKE | GOOG-2017 |
| 47 to 53 | CVX | PFE | IBM-2009 |
| 54 to 60 | DIS | PG | BAC-2015 |
| 61 to 66 | GE | UNH | BAC-2012 |
| 67 to 73 | GS | UTX | BAC-2014 |
| 74 to 80 | HD | VZ | TSLA-2016 |
| 81 to 86 | IBM | WMT | BAC-2016 |
| 87 to 93 | INTC | XOM | BAC-2017 |
| 94 to 100 | JNJ | SPY | IBM-2014 |
Stocks
The data can be obtained here (requires Duke login). It is divided in 3 folders:
- Stocks1Min: contains data on stocks sampled every 1 minute of the day.
- Stocks5Min: contains data on stocks sampled every 5 minutes of the day. For most projects you will use data from this folder.
- Stocks5Sec: contains data on stocks sampled every 5 seconds of the day.
Go ahead and download the data for your stocks and any extra data you may need.